RT Journal Article
SR Electronic
T1 Investing in US 10-Year Yields with News Sentiment
JF The Journal of Investing
FD Institutional Investor Journals
SP 43
OP 46
DO 10.3905/joi.2018.27.4.043
VO 27
IS 4
A1 Gotthelf, Nina
A1 Uhl, Matthias W.
YR 2018
UL http://joi.iijournals.com/content/27/4/43.abstract
AB The tonality of news reporting has been shown to have explanatory and predictive power for equity prices. Using a novel approach and data set, the authors demonstrate that the news sentiment effect also holds for US government bond duration. They construct a successful trading strategy for the US 10-year government bond yield based on news sentiment.